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Fluctuation Dynamics of Exchange Rates on Indian Financial Market

  • A. Sarkar
  • P. Barat
Conference paper
Part of the New Economic Windows book series (NEW)

Summary

Here we investigate the scaling behavior and the complexity of the average daily exchange rate returns of the Indian Rupee against four foreign currencies namely US Dollar, Euro, Great Britain Pound and Japanese Yen. Our analysis revealed that the average daily exchange rate return of the Indian Rupee against the US Dollar exhibits a persistent scaling behavior and follow Levy stable distribution. On the contrary the average daily exchange rate returns of the other three foreign currencies show randomness and follow Gaussian distribution. Moreover, it is seen that the complexity of the average daily exchange rate return of the Indian Rupee against US Dollar is less than the other three exchange rate returns.

Keywords

Exchange Rate Foreign Currency Foreign Exchange Market Indian Financial Fluctuation Dynamics 
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Copyright information

© Springer-Verlag Italia 2006

Authors and Affiliations

  • A. Sarkar
    • 1
  • P. Barat
    • 1
  1. 1.Variable Energy Cyclotron CentreKolkataIndia

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